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作者：Averkamp, R; Houdré, C
作者单位：University of Freiburg; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); University System of Georgia; Georgia Institute of Technology
摘要：For signals belonging to balls in smoothness classes and noise with enough moments, the asymptotic behavior of the minimax quadratic risk among soft-threshold estimates is investigated. In turn, these results, combined with a median filtering method, lead to asymptotics for denoising heavy tails via wavelet thresholding. Some further comparisons of wavelet thresholding and of kernel estimators are also briefly discussed.
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作者：Leung, DHY
作者单位：Singapore Management University
摘要：A popular data-driven method for choosing the bandwidth in standard kernel regression is cross-validation. Even when there are outliers ill the data, robust kernel regression can be used to estimate the unknown regression curve [Robust and Nonlinear Time Series Analysis. Lecture Notes in Statist. (1984) 26 163-184]. However, Under these Circumstances Standard cross-validation is no longer a satisfactory bandwidth selector because it is unduly influenced by extreme prediction errors caused by t...
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作者：Zhang, CH
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：This paper concerns the estimation of sums of functions of observable and unobservable variables. Lower bounds for the asymptotic variance and a convolution theorem are derived in general finite- and infinite-dimensional models. An explicit relationship is established between efficient influence functions for the estimation of sums of variables and the estimation of their means. Certain plug-in estimators are proved to be asymptotically efficient in finite-dimensional models, while u, v estima...
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作者：Kulperger, R; Yu, H
作者单位：Western University (University of Western Ontario)
摘要：In this paper we construct high moment partial sum processes based on residuals of a GARCH model when the mean is known to be 0. We consider partial sums of kill powers of residuals, CUSUM processes and self-normalized partial sum processes. The kth power partial sum process converges to a Brownian process Plus a correction term, where the correction term depends on the kill moment mu(k) of the innovation sequence. If mu(k) = 0, then the correction term is 0 and, thus, the kth power partial su...
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作者：Loh, WL
作者单位：National University of Singapore; University of Michigan System; University of Michigan
摘要：Stein [Statist. Sci. 4 (1989) 432-433] proposed the Matern-type Gaussian random fields as a very flexible class of models for computer experiments. This article considers a subclass of these models that are exactly once mean square differentiable. In particular, the likelihood function is determined in closed form, and under mild conditions the sieve maximum likelihood estimators for the parameters of the covariance function are shown to be weakly consistent with respect to fixed-domain asympt...
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作者：Ray, S; Lindsay, BG
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Multivariate normal mixtures provide a flexible method of fitting high-dimensional data. It is shown that their topography, in the sense of their key features as a density, can be analyzed rigorously in lower dimensions by use of a ridgeline manifold that contains all critical points, as well as the ridges of the density. A plot of the elevations on the ridgeline shows the key features of the mixed density. In addition, by use of the ridgeline, We uncover a function that determines the number ...
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作者：Efromovich, S
作者单位：University of New Mexico
摘要：Estimation of the density of regression errors is a fundamental issue in regression analysis and it is typically explored via a parametric approach. This article uses a nonparametric approach with the mean integrated squared error (MISE) criterion. It solves a long-standing problem, formulated two decades ago by Mark Pinsker, about estimation of a nonparametric error density in a nonparametric regression setting with the accuracy of an oracle that knows the underlying regression errors. The So...
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作者：Asgharian, M; Wolfson, DB
作者单位：McGill University
摘要：Right censored survival data collected On a cohort of prevalent cases with constant incidence are length-biased, and may be used to estimate the length-biased (i.e., prevalent-case) survival function. When the incidence rate is constant, so-called stationarity of the incidence, it is more efficient to use this structure for unconditional statistical inference than to carry out an analysis by conditioning on the observed truncation times. It is well known that, due to the informative censoring ...
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作者：Künsch, HR
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform computations in general state space models. We discuss and compare the accept-reject version with the more common sampling importance resampling version of the algorithm. In particular, we show how auxiliary variable methods and stratification can be used in the accept-reject version, and we compare different resampling techniques. In a second part, we show laws of large numbers and a central limit theo...
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作者：Lahiri, SN
作者单位：Iowa State University
摘要：Efron [J Roy. Statist. Soc. Ser. B 54 (1992) 83-111] proposed a computationally efficient method, called the jackknife-after-bootstrap, for estimating the variance of a bootstrap estimator for independent data. For dependent data, a version of the jackk-iiife-after-bootstrap method has been recently proposed by Lahiri [Econometric Theory 18 (2002) 79-98.]. In this paper it is shown that the jackknife-after-bootstrap estimators of the variance of a bootstrap quantile are consistent for both dep...
